Value-at-risk : theory and practice / Glyn A. Holton
Imprint
Amsterdam : Academic Press, c2003
Descript
xvi, 405 p : ill
CONTENT
Part1 : Overview -- Preface -- Value-at-risk -- Part 2: Essential mathematics -- Mathematical preliminaries -- Probability -- Statistics and time series analysis -- Monte carlo method -- Part 3: Value-at-risk -- Market data -- Inference -- Primary mappings -- Remappings -- Transformations